MACD Histogram

I’m trading some strategies based on mean reversion on a sample of 77 ETFs. Those ETFs are the most liquid ones.One of the strategies I trade is based on MACD-Histogram. It’s a very much used indicator I have tweaked a little bit. On per trade basis this is one of the best strategies I have. Here you can read about the indicator. I have tweaked this one a little bit to the following:

The MACD Histogram bar must have fallen 4 days in a row.

The fourth latest bar must have been below zero.

The current close of the ETF must be lower than the day before.

Entry is on the close. Exit is in the first day when the close is higher than the day before. Here is an example (exit was on the close the day after because the ETF rose in price):

For short it is vice versa. However, long is a lot better than short. In general short is a lot more difficult to trade.

In total this strategy has generated 6669 trades on my portfolio of 77 ETFs.

This diagram shows the the average gain per trade since 2000. Among those 77 ETFs hardly any is negative:

From month to month we get the following bar chart:

I think this is pretty good results. Assuming one can only trade maximum ten positions at a time as a portfolio, we get this equity curve:

This strategy is in cash most of the time! This strategy can be one of several if swingtrading. This proves that a very simple strategy can be very efficient.

6 Responses to MACD Histogram

Very interesting – I have programmed these into ninjatrader for automatic execution – The backtesting looks good.

I am looking for a similar intraday strategy – example – if an ETF reverts from days low/high – weeks low/high, months high/low, years low/high – 200ma – price where a lot of trading has been done – or similar. If condition met, then hold the trade until close. I will look into this when I have time. It could be an interesting automated intraday strategy.

Hi, you programmed the same strategy as I made? Actually, throwing out the bond/high yield/interest rates ETFs the results are better. Works very good on stock ETFs. The only ETFs which are bad are typical commodity,oil etc. I have tested this on OBX in Norways as well – not good (and to be expected).

As regards your thoughts about intraday strategy: nice if you could give some feedback when you’re done.

Search QuantifiedStrategies:

This website uses cookies to improve your experience. We'll assume you're ok with this, but you can opt-out if you wish. Cookie settingsACCEPT

Privacy & Cookies Policy

Privacy Overview

This website uses cookies to improve your experience while you navigate through the website. Out of these cookies, the cookies that are categorized as necessary are stored on your browser as they are essential for the working of basic functionalities of the website. We also use third-party cookies that help us analyze and understand how you use this website. These cookies will be stored in your browser only with your consent. You also have the option to opt-out of these cookies. But opting out of some of these cookies may have an effect on your browsing experience.

Necessary cookies are absolutely essential for the website to function properly. This category only includes cookies that ensures basic functionalities and security features of the website. These cookies do not store any personal information.

Any cookies that may not be particularly necessary for the website to function and is used specifically to collect user personal data via analytics, ads, other embedded contents are termed as non-necessary cookies. It is mandatory to procure user consent prior to running these cookies on your website.